Multiplicative noise, fast convolution and pricing

DOI10.1080/14697688.2012.729857zbMath1294.91186arXiv1107.1451OpenAlexW3105866921MaRDI QIDQ2879044

Sofia Cazzaniga, Giacomo Bormetti

Publication date: 5 September 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.1451

zbMATH Keywords

stochastic processesnon-Gaussian option pricingcomputational financenumerical methods for option pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Reduction and reconstruction of stochastic differential equations via symmetries ⋮ Short Maturity Forward Start Asian Options in Local Volatility Models

Uses Software

• QRM

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• An empirical model of volatility of returns and option pricing
• A path integral way to option pricing
• Generalized autoregressive conditional heteroscedasticity
• A fast algorithm for computing integrals in function spaces: Financial applications
• Numerical Methods in Finance and Economics
• EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On option pricing models in the presence of heavy tails
• Pricing exotic options in a path integral approach

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